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Walk forward testing is more reliable. Start at the beginning of your historical test period, backtest 6 months, optimize on those 6 months, take those optimized values, and use them to backtest the next 2 months, and repeat in that fashion moving forward in time..
Respectfully, I can only speak for myself when I say that my efforts at being a trader leads me to ask the questions that I do, and offer what I feel that I know to assist.
Each for their own ... I prefer to find a generally bullish time period with some irrational bearish activity and optimize the SHORT side of the strategy on that information: keep those parameters and see how they worked before and after that, test/in -sample, time period.
This is an example (chart of weekly PnL, optimized on 7 weeks for Shorts only, all is backtesting on replay data): can you decipher which 7 weeks were used for optimization? I cant.. maybe you can .. anyone? Is it goodenuf? Fees were not deducted, and no allowance for slippage.
I need everyone's input ; If I explain my trading system and everyone back tests it and tells me it won't produce a profit... do I have to give the money back that I made trading with it? I don't want to create an embarrassing faux pas.
Regards,
TMFT
I'm just a simple man trading a simple plan.
My daddy always said, "Every day above ground is a good day!"
Well no.. I have too many of the girls who work at the Eager Beaver on scholarship ... they say I remind them of J Howard Marshall ... but just not as good looking...
I'm just a simple man trading a simple plan.
My daddy always said, "Every day above ground is a good day!"
I am not greedy ... only bad traders are greedy lol
Writing to you from the wonderful province of Ontario, Canada. Home to the world's biggest natural negative ion generator, the Niagara Falls, and to those that dare to know how to go over it in a barrel. SALUTE!